Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 13 15 12
Score 2.31 3.27 1.6
Market Cap (Millions USD) 16414.39 15710.49 15051.89
Predicted Beta 1.14 1.13 1.1
Idiosyncratic Volatility 1.75 1.81 1.81

Annualized return and volatility

IVE
Annualized Return 0.0635
Annualized Std Dev 0.1905
Annualized Sharpe (Rf=0%) 0.3334

Row

Daily Return Statistics

IVE
Observations 5010.0000
NAs 104.0000
Minimum -0.0927
Quartile 1 -0.0046
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0057
Maximum 0.1070
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0120
Skewness -0.1165
Kurtosis 8.1460

Downside Risk

IVE
Semi Deviation 0.0087
Gain Deviation 0.0086
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.6132
Historical VaR (95%) -0.0184
Historical ES (95%) -0.0291
Modified VaR (95%) -0.0178
Modified ES (95%) -0.0287
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-03-07 -0.6132 1384 364 1020
2001-02-02 2002-10-09 2004-12-14 -0.4421 988 428 560
2018-01-29 2018-12-24 2019-05-03 -0.1926 323 233 90
2015-05-22 2016-02-11 2016-06-07 -0.1503 267 186 81
2007-07-16 2007-08-15 2007-10-09 -0.1018 62 23 39

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IVE
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 1.2 0.0 0.7 0.5 0.0 -0.2 0.8 0.0 3.0
2001 0.8 -0.3 0.0 0.8 0.4 0.0 0.4 0.0 -0.4 2.1 0.0 0.0 3.8
2002 -0.6 1.7 -0.5 1.0 0.0 -1.8 -3.1 0.0 3.8 2.0 0.0 0.0 2.5
2003 0.0 0.0 1.7 -0.5 0.0 0.6 -1.0 0.0 2.2 0.0 1.1 0.0 4.0
2004 0.0 1.2 0.4 0.0 -0.2 -0.8 0.0 0.1 1.5 0.2 1.0 0.0 3.5
2005 0.4 0.6 -0.6 0.0 0.7 0.4 0.0 0.4 0.0 0.2 1.3 0.0 3.5
2006 0.5 1.0 0.0 -0.8 1.2 0.0 -0.5 0.6 0.0 -0.7 -0.5 0.0 0.8
2007 0.5 -0.1 0.0 0.0 0.4 0.0 0.3 0.0 1.5 -2.8 0.0 0.0 -0.2
2008 1.8 0.0 4.1 2.5 0.0 0.4 -0.4 0.0 0.2 0.0 -9.3 0.0 -1.3
2009 0.0 0.0 2.4 0.4 2.1 0.5 0.0 -2.8 -2.7 0.0 1.2 0.0 0.9
2010 1.4 1.0 0.9 0.0 -1.8 -0.4 0.0 3.0 0.6 -0.2 2.2 0.0 6.7
2011 1.9 -1.6 0.5 0.0 -2.4 1.4 -0.3 -1.2 0.0 -3.0 -0.3 0.0 -4.9
2012 1.1 0.8 0.0 0.8 -2.6 0.0 -0.3 0.0 0.2 1.2 0.0 0.0 1.2
2013 1.0 0.3 -0.2 -0.9 0.0 0.7 1.3 0.0 0.7 0.3 0.0 0.0 3.1
2014 0.0 0.0 0.4 -0.1 0.0 0.5 -0.3 0.0 -1.2 0.0 -0.4 0.0 -1.1
2015 0.0 0.0 -0.3 0.8 0.1 0.7 0.0 -3.0 0.0 0.0 1.0 0.0 -0.8
2016 -0.1 2.2 0.4 0.0 0.2 0.0 -0.5 -0.1 0.0 -0.6 0.3 0.0 1.8
2017 -0.2 1.5 0.0 0.0 1.0 0.0 0.3 0.4 0.0 0.3 0.0 0.0 3.3
2018 0.1 -1.2 0.0 -0.3 0.7 0.0 -0.6 0.0 0.4 0.7 0.0 0.0 -0.1
2019 0.2 0.6 1.3 -0.4 0.0 0.8 -1.4 0.0 -1.2 1.4 0.0 -0.1 1.0

Row

Rolling Performance Chart

Snail Trail Chart